The CIA said the investigation has been launched to see if there are any lessons to be learned.

"If there are lessons to be learned from this case, we'll use them to improve," said CIA spokesman Preston Golson.

"But we're not getting ahead of ourselves. An investigation is exploratory and doesn't presuppose any particular outcome."

Petraeus has been keeping a low profile since the outbreak of the scandal but he will be testifying before the two congressional committees on the deadly attack on the US mission in Libya in which ambassador Chris Stevenson and three other Americans were killed.

Meanwhile, US Attorney General Eric Holder said that the FBI did not find any national security threat during the course of the investigation.

"As we went through the investigation and looked at the facts and tried to examine them as they developed, we felt very secure in the knowledge that a national security threat did not exist."

There was intense speculation about the timing of the resignation as it came three days after President Barack Obama was re-elected. It was suspected that the resignation may have links with the Benghazi attack as Petraeus reportedly had direct involvement with the probe.

But Petraeus insisted that his resignation has nothing to do with Benghazi.

"He was very clear that he screwed up terribly, it was all his fault, even that he felt fortunate to have a wife who is far better than he deserves," said CNN Headline News anchor Kyra Phillips after her interview with Petraeus.

"He has insisted to me that he has never passed classified information to Paula Broadwell. He has said this has nothing to do with Benghazi and he wants to testify. He will testify."

The scandal began with an FBI investigation into complaints of harassing emails to Tampa resident and socialite Jill Kelley which were tracked to Petraeus's lover Broadwell.